Low risk, high return: Exploring the outperformance of value and momentum-driven low-volatility equity portfolios

Date of Publication


Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions


Ramon V. Del Rosario College of Business


Financial Management Department

Thesis Adviser

Tyrone Panzer Chan Pao

Defense Panel Chair

Patrick Caoile

Defense Panel Member

Steven Lim

Clive Manuel Wee-Sit


The volatility and perceived risks of the stock market have been deterring many people from investing in it, even if some still fall for get-rich-quick investment scams. Only less than 1% of the Philippine population have equity exposures. This study was conducted with the purpose of introducing low-volatility investing to the local market and possibly entice more people to invest, especially those who are risk-averse.

The study was undertaken to determine the manifestation of the low-volatility anomaly in the Philippine stock market with CAPM beta as the measure of risk used. The researchers constructed and simulated beta quintile portfolios from July 1, 2006 to June 30, 2016. Book-to-price spread quintiles and the Carhart four-factor model were used to determine if the factors of value and momentum influenced the performance of the lowest beta quintile portfolio.

The researchers found that the lowest-risk portfolio underperformed its higher-volatility peers and the benchmark, PSEi, which means that the relationship between risk and return is positive, failing to defy the concept of the risk-return tradeoff. The returns of the portfolio have a positive relationship with value and momentum, indicating influence. These relationships, however, were found to be statistically insignificant from zero. This study is the first locally-written literature that explores the potential of a low-risk strategy to generate outperformance in the financial markets.

Abstract Format






Accession Number


Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

75, [150] leaves : illustrations ; 29 cm. + 1 computer disc ; 4 3/4 in.


Investments--Philippines; Stock exchanges--Philippines; Risk--Philippines

This document is currently not available here.